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ATM Vols Tick Higher While Skew Holds Steady


Brent option skew to the puts is largely unchanged despite the falling futures market.

  • Brent front month futures have fallen to the lowest since before the Ukraine war started in February.
  • The Dec22 25 delta puts are still trading approximately 4% over 25 delta calls.
  • ATM front month implied volatility continues to tick higher and now back over 50% on large price swings. Low liquidity is adding to market volatility with aggregate open interest the lowest since 2015.
    • Brent NOV 22 down -3.6% at 89.51$/bbl
    • WTI OCT 22 down -3.9% at 83.47$/bbl

Source: MNI / Bloomberg

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